Tagged Questions

The [Kalman filter][1], also known as linear quadratic estimation (LQE), is an algorithm that uses a series of measurements observed over time, containing noise (random variations) and other inaccuracies, and produces estimates of unknown variables that tend to be more precise than those based on a ...

I would like to know if anyone has experience with a good open source kalman filter implementation in C++ that I could use. I require an implementation that supports computation of likelihood similar ...

Kevin Murphy's Kalman Filter toolbox (for Matlab) contains an example where it's the fact that the state space system in not identifiable causes problems. I include the example in it's entirety but ...

I asked a question similar to this previously:
https://dsp.stackexchange.com/questions/16341/simulating-a-state-space-model
However I think I have a better handle on it now and want to re-ask it:
I ...

Ernest Chan in its book "Algorithmic Trading" shows how to use the Kalman Filter for mean reversion pair trading.
I have seen that he uses the measurement prediction error for calculating the spread ...

I'm trying to implement a Kalman Filter for the parameter estimation of a linear gaussian two factor model in Matlab. (Schwartz Smith model for commodity prices) In other words: I try to compute the ...